Price risk in the NYMEX energy complex: An extreme value approach

Tim Krehbiel · Lee C. Adkins

59 citations0/0 files storedJournal of Futures Markets

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Market Dynamics and Volatility Probability and Risk Models

Abstract

We estimate tail parameters and construct risk statistics for unconditional distributions of daily logarithmic price changes of the NYMEX energy complex and apply the conditional extreme value method proposed by A. J. McNeil and R. Frey (2000) for estimating VAR and related risk statistics from the tails of conditional distributions for these commodities. The unconditional distribution of spot market price declines is found to be fat tailed relative to the normal for all commodities examined. Backtesting of candidate conditional risk measurement methods indicates that the conditional extreme value method is significantly more accurate for measuring risk exposure due to price declines for 7 of the 10 price series examined. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:309–337, 2005

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 59 citations exist upstream.

References

1999Coherent Measures of Risk 2001An Introduction to Statistical Modeling of Extreme Values 2000Value At Risk: The New Benchmark for Managing Financial Risk 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1974Residual Life Time at Great Age 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator 2000From value at risk to stress testing: The extreme value approach 1996The Asymptotic Distribution of Extreme Stock Market Returns

Cited by

2008MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH 2010Extreme value analysis of daily Canadian crude oil prices 2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model 2019Value-at-risk methodologies for effective energy portfolio risk management

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.